NAME
BermudanSwaption - Example of using QuantLib
SYNOPSIS
BermudanSwaption
DESCRIPTION
BermudanSwaption is an example of using the QuantLib interest-rate
model framework.
BermudanSwaption prices a bermudan swaption using different models
calibrated to market swaptions. The calibration examples include Hull
and White’s using both an analytic formula as well as numerically, and
Black and Karasinski’s model. Using these three calibrations, Bermudan
swaptions are priced for at-the-money, out-of-the-money and in-the-
money volatilities.
SEE ALSO
The source code BermudanSwaption.cpp, Bonds(1), CallableBonds(1),
CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1),
FittedBondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1),
SwapValuation(1), the QuantLib documentation and website at
http://quantlib.org.
AUTHORS
The QuantLib Group (see Authors.txt).
This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the
Debian GNU/Linux maintainer for QuantLib.